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XP · 2024年08月07日

求帮忙解答这题

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2023100703000064

问题如下：

Risk analyst uses data from the HS300 index over the past 260 weeks to estimate the long-term average correlation of the common stocks and mean reverting rate. And find the average long-term stock correlation of the HS 300 Index is 22%, and the regression output estimates the following regression relationship: Y = 0.34-0.55X. Assume that in first week of March 2020, the average weekly correlation of all HS300 stocks was 65%. Based on the mean reverting rate in regression analysis, what is the estimated one-week autocorrelation?

选项：

A.0.219 B.0.23 C.0.35 D.0.45

解释：

To find the estimated one-week autocorrelation based on the mean reverting process, we can use the following formula:



单期自相关率+均值回归率=1，所以自相关率只要拿1减去均值回归率，即1-0.55=0.45


答案里说 均值回归项的系数是0.55，所以自相关系数就是1-0.55=0.45

那为什么 均值回归项不能是0.34 呢？S(t+1)= au + (1-a)S(t) 不也是均值回归项在前面吗？

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1 个答案

pzqa39 · 2024年08月08日

嗨，爱思考的PZer你好：


0.34是回归方程中的常数项，与均值回归模型中的均值回归系数无关。均值回归项通常表示为回归模型中的斜率部分。

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